Us Inflation Dynamics 1981-2007: 13,193 Quarterly Observations

Gregor W. Smith ()

No 1155, Working Paper from Economics Department, Queen's University

Abstract: The new Keynesian Phillips curve (NKPC) restricts multivariate forecasts. I estimate and test it entirely within apanel of professional forecasts, thus using the time-series,cross-forecaster, and cross-horizon dimensions of the panel. Estimation uses 13,193 observations on quarterly US inflation forecasts since 1981. The main finding is a significantly largerweight on expected future inflation than on past inflation, a finding which also is estimated with much more precision than in the standard approach. Inflation dynamics also are stable over time, with no decline in inflation inertia from the 1980s to the 2000s. But, as in historical data, identifying the output gap is difficult.

Keywords: forecast survey; new Keynesian Phillips curve (search for similar items in EconPapers)
JEL-codes: C23 E31 E37 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2008-02
New Economics Papers: this item is included in nep-cba, nep-ets, nep-for, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1155

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